The usernames on the work group are different from that of the domain user names... so when a user tries to login to the domain, a new local profile is created on their box, and they loose access to their old profile (all their settings, outlook database, favorites and so on).
The username differences is not full reason why the things aren't the same. Windows 2000/XP does everything with profiles. There are two types: domain and non domain. Even if the same user is on the same computer, using the same name, joining a domain is just like changing users.
If they are all XP pro, then use the file and settings tranfer wizard. It is already installed, and is located in the system tools folder. Before you join the domain, run the wizard and put the file where you can get at it. I usually create a folder named migrate and put the file there. Even though it is going to be the same computer, tell the wizard that it is the old computer. The wizard will copy over bookmarks/favorites, documents, the desktop, various user settings, outlook express and (most) versions of outlook email. It will not migrate outlook 2003 settings. For outlook 2003 you need to export the email to a pst and then import it to the new profile. If there happens to be multiple users, run it for each one.
Before you run the wizard, delete the temporary internet files including the offline files. The wizard copies these, and if there is a large number of them, it takes forever. If they have a large email file, this will also take some time.
Then after you join the domain, get the user logged in and run the wizard. Tell it you already have made the file and point it to where you saved it.
Someone suggested just copying the profile over. I've had poor luck trying to copy a non domain profile and getting it to work in a domain. I have had good luck copying a profile from an old domain to a new domain on the same network.
I've not used the USMT, though I just looked to see if it will pull outlook 2003. It doesn't explicitly say it would, but the latest version is from Nov. 2004, so it should.